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Regression with Non-Gaussian Stable Disturbances: Some Sampling Results

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  • Blattberg, Robert
  • Sargent, Thomas J

Abstract

AbstractThe following sections are included:INTRODUCTIONALTERNATIVE ESTIMATORSSAMPLING RESULTSCONCLUSIONSREFERENCES
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Suggested Citation

  • Blattberg, Robert & Sargent, Thomas J, 1971. "Regression with Non-Gaussian Stable Disturbances: Some Sampling Results," Econometrica, Econometric Society, vol. 39(3), pages 501-510, May.
  • Handle: RePEc:ecm:emetrp:v:39:y:1971:i:3:p:501-10
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    1. Jacobsen, Ben & Potters, Jan & Schram, Arthur & van Winden, Frans & Wit, Jorgen, 2000. "(In)accuracy of a European political stock market: The influence of common value structures," European Economic Review, Elsevier, pages 205-230.
    2. Ball, Sheryl B. & Bazerman, Max H. & Carroll, John S., 1991. "An evaluation of learning in the bilateral winner's curse," Organizational Behavior and Human Decision Processes, Elsevier, pages 1-22.
    3. Robert Forsythe & R. Mark Isaac & Thomas R. Palfrey, 1989. "Theories and Tests of "Blind Bidding" in Sealed-Bid Auctions," RAND Journal of Economics, The RAND Corporation, pages 214-238.
    4. Dyer, Douglas & Kagel, John H & Levin, Dan, 1989. "A Comparison of Naive and Experienced Bidders in Common Value Offer Auctions: A Laboratory Analysis," Economic Journal, Royal Economic Society, vol. 99(394), pages 108-115, March.
    5. Eddie Dekel & Michele Piccione, 2000. "Sequential Voting Procedures in Symmetric Binary Elections," Journal of Political Economy, University of Chicago Press, pages 34-55.
    6. Timothy Feddersen & Wolfgang Pesendorfer, 1997. "Voting Behavior and Information Aggregation in Elections with Private Information," Econometrica, Econometric Society, pages 1029-1058.
    7. Menezes, F.M. & Monteiro, P.K. & Temini, A., 1998. "Discrete Public Goods With Incomplete Information," Papers 348, Australian National University - Department of Economics.
    8. Kyle Bagwell & Robert Staiger, 1997. "Collusion Over the Business Cycle," RAND Journal of Economics, The RAND Corporation, vol. 28(1), pages 82-106, Spring.
    9. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    10. Timothy Feddersen & Wolfgang Pesendorfer, 1997. "Voting Behavior and Information Aggregation in Elections with Private Information," Econometrica, Econometric Society, pages 1029-1058.
    11. Potters, J.J.M. & Wit, J., 1996. "Bets and Bids : Favorite-Longshot Bias and Winner's Curse," Discussion Paper 1996-04, Tilburg University, Center for Economic Research.
    12. Eddie Dekel & Michele Piccione, 1997. "On the Equivalence of Simultaneous and Sequential Binary Elections," Discussion Papers 1206, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    13. Christopher Avery & John H. Kagel, 1997. "Second-Price Auctions with Asymmetric Payoffs: An Experimental Investigation," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 6(3), pages 573-603, September.
    14. Jacobsen, Ben & Potters, Jan & Schram, Arthur & van Winden, Frans & Wit, Jorgen, 2000. "(In)accuracy of a European political stock market: The influence of common value structures," European Economic Review, Elsevier, pages 205-230.
    15. Feddersen, Timothy J & Pesendorfer, Wolfgang, 1996. "The Swing Voter's Curse," American Economic Review, American Economic Association, pages 408-424.
    16. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, pages 227-286.
    17. repec:cup:apsrev:v:92:y:1998:i:01:p:23-35_20 is not listed on IDEAS
    18. Garvin, Susan & Kagel, John H., 1994. "Learning in common value auctions: Some initial observations," Journal of Economic Behavior & Organization, Elsevier, pages 351-372.
    19. Levin, Dan & Kagel, John H & Richard, Jean-Francois, 1996. "Revenue Effects and Information Processing in English Common Value Auctions," American Economic Review, American Economic Association, pages 442-460.
    20. Klemperer, Paul, 1999. " Auction Theory: A Guide to the Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 13(3), pages 227-86, July.
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    Cited by:

    1. Dasgupta, Madhuchhanda & Mishra, SK, 2004. "Least absolute deviation estimation of linear econometric models: A literature review," MPRA Paper 1781, University Library of Munich, Germany.
    2. W. Walls, 2005. "Modeling Movie Success When ‘Nobody Knows Anything’: Conditional Stable-Distribution Analysis Of Film Returns," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, pages 177-190.
    3. Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, pages 15-24.
    4. Jean-Jacques Rosa, 1977. "Réponse aux commentaires de M Mouillart," Revue Économique, Programme National Persée, vol. 28(2), pages 290-295.
    5. Errunza, Vihang & Hogan, Kedreth Jr. & Mazumdar, Sumon C., 1996. "Behavior of international stock return distributions: A simple test of functional form," International Review of Economics & Finance, Elsevier, pages 51-61.
    6. David Zajdenweber, 1977. "La vérification du CAPM et la théorie des promenades aléatoires. A propos d'une controverse," Revue Économique, Programme National Persée, vol. 28(6), pages 1005-1008.
    7. Nolan, John P. & Ojeda-Revah, Diana, 2013. "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, pages 186-194.
    8. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
    9. Mann, Jitendar S. & Heifner, Richard G., 1976. "The Distribution of Shortrun Commodity Price Movements," Technical Bulletins 158107, United States Department of Agriculture, Economic Research Service.
    10. Mikosch, Thomas & de Vries, Casper G., 2013. "Heavy tails of OLS," Journal of Econometrics, Elsevier, pages 205-221.
    11. W David Walls, 2004. "Modeling movie success when "nobody knows anything": Conditional stable distribution analysis of film returns," Econometric Society 2004 Far Eastern Meetings 409, Econometric Society.
    12. Majumdar, Sumit K., 2000. "With a little help from my friends? Cross-subsidy and installed-base quality in the U.S. telecommunications industry," International Journal of Industrial Organization, Elsevier, pages 445-470.
    13. Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, pages 195-204.
    14. Majumdar, Sumit K., 2000. "Sluggish giants, sticky cultures, and dynamic capability transformation," Journal of Business Venturing, Elsevier, pages 59-78.
    15. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    16. Vijverberg, Wim P. & Hasebe, Takuya, 2015. "GTL Regression: A Linear Model with Skewed and Thick-Tailed Disturbances," IZA Discussion Papers 8898, Institute for the Study of Labor (IZA).
    17. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre.

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    JEL classification:

    • M31 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Marketing

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